I still find it incredibly amusing how, in the section where Lancer saves kid Gilgamesh, you can see Grail-kun in the backseat of the car. It's just a little detail that I love.
No, this is also tied to his Lore. He is literally being cursed by Goddess Morrigan to always have a higher chance of dying because Cu refused to marry her. So yeah, this is just Morrigan being petty at Cu